國際洗錢防制系列研習活動

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1 舉辦目的銀行業核心人才培訓計畫國際課程資產負債管理與經濟資本配置研習班 Workshop on Asset & Liability Management and Economic Capital Allocation 活動計畫資產負債管理與經濟資本配置係銀行為強化財務流動性提高資本運用效率, 在穩健的基礎上實現盈利目標所不可或缺的重要手段變動不居的金融環境時時刻刻挑戰著銀行的風險承受能力與經營彈性, 銀行唯有提高風險敏感度, 依循戰略目標將風險偵測風險控管資本配置與績效管理的流程無縫整合, 才能優化資產負債結構創造最佳資本報酬率, 在業務成長與風險控管目標之間尋求穩健的發展步調本院受中華民國銀行公會委託, 共同籌劃銀行業核心人才培訓計畫國際課程 - 資產負債管理與經濟資本配置研習班, 邀請具有豐富跨國銀行實務經驗與教學經驗的資深風管專家 - 法國巴黎銀行 (BGL BNP Paribas) 風控長 Dr. Luc Henrard 來台授課, 課程內容深入剖析 BASEL III 環境下, 資產負債管理與經濟資本配置實務最新趨勢, 並以分組模擬演練的方式, 教導學員如何針對各類影響資產負債的潛在風險源進行分析衡量與控管, 以及如何將流動性管理與績效管理資本管理密切整合, 使資產負債管理成為穩固經營體質強化財務績效的根基研習效益本課程以歐美銀行實務案例教材搭配分組個案討論演練, 使學員得以熟練下列議題 : BASEL III 對於銀行流動性風險管理之重要規範應用先進量化技術精準評估各類風險要素對於資產負債的影響如何有效衡量與管理銀行簿 (Banking Book) 中的淨利息收入風險 (Net Interest Income at Risk) 銀行內部資金轉播計價 (Fund Transfer Pricing (FTP)) 模式現代化銀行流動性風險與利率風險衡量及相關管理工具應用方法銀行資產負債風險治理機制 (Effective Governance for Asset & Liability Management) 如何透過經濟資本 (Economic Capital) 強化銀行風險管理機制如何應用經濟資本模型控制銀行個別單位與整體曝險規模如何應用經濟資本模型進行風險調整後績效衡量 (Risk-adjusted Return on Capital) 如何透過風險分析情境分析及壓力測試等工具, 因應 ICAAP 規範, 執行資本評估與規劃最佳實務 Page 8-1

2 主辦單位中華民國銀行商業同業公會全國聯合會執行單位台灣金融研訓院舉辦日期 2013 年 4 月 27 日 ( 六 )~4 月 29 日 ( 一 ) 9:00-17:00 舉辦地點台灣金融研訓院 ( 台北市羅斯福路三段 62 號 ) 參加對象主管機關人員 ( 包括 : 金融監督管理委員會及中央銀行 ), 以及銀行公會研訓基金提撥機構中具 6~8 年風險管理財務管理或金融交易實務經驗, 並有中等以上英文溝通能力之銀行從業人員參訓費用及名額分配方式本班僅開放給金融監督管理委員會中央銀行及銀行公會研訓基金提撥機構人員免費參加, 參加人數以 40 位為上限, 參加費用由中華民國銀行公會全額補助, 各機構可獲一席補助名額, 額滿為止若補助名額不敷使用, 可於報名表中填具候補名額 ( 最多 3 名 ), 報名截止後, 若補助名額尚有賸餘, 候補人員將依機構人數比重依次遞補報名方式自即日起至 2013 年 3 月 27 日 ( 星期三 ) 止, 依下列方式報名 : 1. 請至活動網站 ( 下載報名表並填妥後至 regosd@mail.tabf.org.tw 2. 傳真報名 : 請依式填具研習人員報名表, 電傳本院客戶服務中心彙辦 ( 傳真 : 或 ) 其他事項 1. 如有其他洽詢事宜, 請賜電本院客戶服務中心報名專線辦理 ( 電話 : 轉分機 615) 2. 報名後如欲取消, 請於 2013 年 3 月 29 日 ( 星期五 ) 前以書面通知本院客戶服務中心 3. 本院保留變更本活動內容及講座講題時間安排等權利 Page 8-2

3 講座簡介 Dr. Luc Henrard Chief Risk Officer, BGL BNP Paribas & Professor at the School of Management of the Catholic University of Louvain Dr. Luc Henrard 歷任歐洲及亞洲各大跨國銀行集團高階決策主管職務, 他曾於香港擔任 Fortis (Asia Pacific) 執行長, 成功推動 Fortis 與 BNP Paribas 於亞洲地區之整併任務 Dr. Henrard 亦曾於 Generale Bank 擔任財務長全球 ALM 主管及首席交易員等重要職務 Dr. Henrard 除擁有豐富之金融專業資歷以外, 亦經常接受全球各地知名金融產官學界邀請擔任講座, 在風險管理公司治理變革管理等領域之專業表現備受肯定課程內容本課程以英文進行 Session 1 09:00-10:00 am Key Risk Principles Bank Business and Bank Capital Principles Asset Liability Management ALM in the Banking Industry Definition of Risk Risk Management Principles: The Balance between Risk, Cost and Value Embedding Asset Liability Management and Risk Management in the overall Bank Management Session 2 14:00-15:00 pm Fund Transfer Pricing (FTP) Principles & Objectives of FTP Components of FTP Parties involved Types of Assignment Advanced FTP Examples of TP Rules Session 3 15:00-17:00 pm Balance Sheet Items and Products Modelling Behavioural Modelling Principles Deposits and Savings Loans Prepayments Session 4 Risk Management Key Individual Risk Types and its Page 8-3

4 Relevance for ALM Financial Risk Interest Rate Risk Currency Risk Commodity Risk Equity Risk Inflation Risk Credit Risk Real Estate Risk Non-financial Risk Operational Risk Reputational Risk Business Risk Model Risk Session 5 ALM Tools Level at which the Balance Sheet is managed Frequency of the Balance Sheet Risk Measures Dynamic versus Static Measures Indicators on which Interest Rate Risk is calculated Net Interest Income Economic Value of Capital (EVC) Methods to Measure Interest Rate Risk Repricing Gaps Sensitivity Scenario Analysis Stress Testing Earnings at Risk Models of Non-Maturing Instruments Session 6 09:00-10:00 am Liquidity Risk Management Liquidity Risk Overview Liquidity Risk in Emerging Markets The Liquidity Sources The Asset Side The Liability Side Off-Balance Sheet Managing Liquidity Liquidity Analysis The Maturity Transformation Analysis Cash Flow Forecasts / Models Page 8-4

5 Session 7 Session 8 Session 9 Traditional Ratios Best Practice Liquidity Risk Measurement Beyond liquid assets Session Measuring Liquidity Risk for Normal Conditions Sensitivities Value-at-Risk (VaR) / LVaR A Framework for Scenario Assumptions Choosing Scenarios / Developing Assumptions Session Liquidity Policy & Liquidity Contingency Funding Plan (LCFP) Scope and Frame Key Principles Stress Conditions Rating Severity of Early Indicators Roles and Responsibility Limit Framework & Policy Liquidity Limits Gap Limit Interest Rate Risk Economic Capital Limits Hedging Strategies Macro Hedging Micro Hedging Hedging Instruments Interest Rate Derivatives Credit Derivatives Other Asset Securitisation Ratio of Notional Value of Derivative Instruments of the Balance Sheet Stress Testing What is Stress? General Points and Key Drivers The European Union Stress Test 2010 (Case Study) Lessons learned from the Financial Crisis The Test and its Results Criticism Page 8-5

6 Session 10 Session 11 Session 12 What can we learn from the Exercise? Stress Testing for the Enterprise Scenario Simulation of Macroeconomics and Business Cycle Advanced Approaches of managing Key Risks (Interest Rates / Liquidity) in Stress Scenarios Best Practice An Exercise in 9 Steps Optimal Return Strategies and Effective Governance Senior Management Issues Defining Risk Appetite (case study) The Risk Strategy Economic Capital Risk-bearing Capacity Risk Limits and Thresholds Committees Risk Committee Credit Committee ALCO Linking Risk and Capital Risk MIS The Role of Audit Economic Value and Risk Indicators associated with Regulatory Requirements and Industry Standards Common regulatory Constraints Basel II Solvency II IFRS IAS Outlook of ALM Development in the Era of post-financial Crisis Basel III Swiss Finish Significantly Important Financial Institutions (SIFIs) too big to fail? Capital Ratios and Targets RWA Requirements Risk Distribution / Risk Concentration Liquidity Standards and Rations Page 8-6

7 Session 13 Session 14 Organisation Other Measures Group Discussion on Impact on the Institution Risk Management and Economic Capital The Evolution of Risk Management from Duration to ERM After the Crisis - The Changed Assumptions about Risk Management How strengthened regulatory requirements will affect economic capital planning The Need for more Efficient Capital Assessment and Allocation Approaches to Measuring and Managing Risks The Silo Approach to Measuring and Managing Risks Enterprise-wide Risk Management The Foundations of Economic Capital Economic Capital as a Common Currency for Risk Economic Capital in Banks Why Increased Focus on Economic Capital? Integration and Mutation of Risks Active Risk Management Board Reporting Strategic Decision Making and Shareholder Value Creation Economic Capital Assessment and Allocation Using Mathematical Modelling for Assessing Economic Capital at the Institution Level Risk factors and diversification Quantifying EC of integrated risks Treatment of specific risks (e.g.: business or strategic risk) Allocating Capital Across Business Units Making risk-return profiles comparable across business Page 8-7

8 財團法人台灣金融研訓院研習活動報名表活動名稱 : 銀行業核心人才培訓計畫國際課程 - 資產負債管理與經濟資本配置研習班填表日期 : 年月日項次姓名 ( 請正楷填寫 ) 身分證號碼服務單位部門職稱聯絡電話行動電話聯絡傳真 address 正取備 1 備 2 備 3 請注意 : 一敬請將報名表各欄資料填寫完整 ( 身分證字號係為報名系統建檔所需資料 ), 有填寫身分證字號手機號碼及者, 將於活動前兩個工作天收到簡訊及通知訊息, 所有資料純供內部使用, 資料不會外流, 敬請放心二請各參加人員於課程開始前 20 分鐘逕往舉辦地點報到參加三查詢專線 : 轉分機 615 為確保您的權益, 報名前請務必詳閱本院網站公告之學員須知傳真專線 : 或電子信箱 :regosd@mail.tabf.org.tw 學員須知及課程查詢請詳本院網頁 : 統一編號 : 遴選單位 :( 請蓋機構章 ) 遴選單位聯絡人 : 聯絡人電話 : Page 8-8

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